Vto 5 day rsi system

[mr_cassandra]

As far as I can tell these guys are showing a very simple system, for free, that anyone could do, which has turned 10k into 45 k since 1997. The site does not appear to sell or solicit anything.

www.vtoreport.com - 5 day rsi system

 

[JonnyT]

Not exactly great though.

The returns also do not include costs or slippage.

You can do much better.

JonnyT

 

[darktone]

Remember looking at this a couple years back. thought then as i do now that it would work better on a daily basis using a standard period RSI with 20 as a buy signal and a price pattern / BO as a trigger.. also exiting on an RSI level i think is a mistake, running stops behind daily swing lows is likley to be a better option.

Cant remember the last time i even thought about an 'indicator' 🙂

 

[SallyT]

"Cant remember the last time i even thought about an 'indicator' "

Darktone, most interested in your trading strategy if you don't use any indicators.

Are you scalping, day trading or something else? Is this something you can/are prepared to post?

 

[neil]

The dark Side

"Cant remember the last time i even thought about an 'indicator' "

Darktone, most interested in your trading strategy if you don't use any indicators.

Are you scalping, day trading or something else? Is this something you can/are prepared to post?

Sally
This thread deals with indicatorless trading:
http://www.trade2win.co.uk/boards/showthread.php?t=7751

 

[a0-0b]

This thread deals with indicatorless trading:
http://www.trade2win.co.uk/boards/showthread.php?t=7751

And it's a big thread, but well worth reading, i've learnt an awful lot by lurking there.

 

[Uncle]

Sally......What do you use ............Crystal Ball???????

John

 

[mr_cassandra]

Good to hear it

Can you point me to where I could due diligence a system which does that?

Tia Steve

Not exactly great though.

The returns also do not include costs or slippage.

You can do much better.

JonnyT

 

[JonnyT]

Well the point is with this system that all proceeds are reinvested. Thus not allowing for commission, spread and slippage over the 78 trades has made a dramatic difference to the system

The returns over the 78 trades work out at 1.6% per trade
Allow 0.5% for spread slippage and costs knocks the final pot down to around 32K

As the system trades out of hours only spreads and slippage are going to at least in the order I have suggested.

The annual return over the period is around 13% per annum. Far from great.

JonnyT

 

[mr_cassandra]

Thanks for reply

However, taking your points to heart, I was hoping you had some insghts on a system which does better, yet is free.

Well the point is with this system that all proceeds are reinvested. Thus not allowing for commission, spread and slippage over the 78 trades has made a dramatic difference to the system

The returns over the 78 trades work out at 1.6% per trade
Allow 0.5% for spread slippage and costs knocks the final pot down to around 32K

As the system trades out of hours only spreads and slippage are going to at least in the order I have suggested.

The annual return over the period is around 13% per annum. Far from great.

JonnyT

 

[mr_cassandra]

What's intriguing is

The concept of a simple, indicator based system. I like your idea, as well, in that I don't think the best profits are made with a robotic rsi based exit point.

Remember looking at this a couple years back. thought then as i do now that it would work better on a daily basis using a standard period RSI with 20 as a buy signal and a price pattern / BO as a trigger.. also exiting on an RSI level i think is a mistake, running stops behind daily swing lows is likley to be a better option.

Cant remember the last time i even thought about an 'indicator' 🙂

 

[trendie]

Hi Mr Cassandra,

I must say I am impressed by the 5-day RSI !!
I have just done my own backtest on the Dow, and it does seem to work.

Worth further analysis I think.

 

[mr_cassandra]

Thoughts on vto's system

I think its by far the simplest system which beats buiy and hold, that I've ever seen. With that in mind, I've seen a study by fundtimer at clearstations spy board which showed that you could make even more money by going short when vto sold. the link is below

http://clearstation.etrade.com/cgi-bin/bbs?post_id=5421539

Fundtimer is pretty good at mechanical systems and backtesting.

Another clearstation poster, otc at the _compx board had another productive suggestion for possibly improving vto's system, link below

http://clearstation.etrade.com/cgi-bin/bbs?post_id=5623476&usernm=otc

I think between funds analysis and otc's insights, you have a very serious mechanical system potential. If you like the idea and are familiar with excel, I can send you an old version of my own system; which you could hack and change to do all this. Glad to help if you're interested.

Hi Mr Cassandra,

I must say I am impressed by the 5-day RSI !!
I have just done my own backtest on the Dow, and it does seem to work.

Worth further analysis I think.

 

[mr_cassandra]

Not a bad idea

I've found (the hard way) that the best thing to do with any/all such ideas is plug them into a back-test that goes back several years. Speaking only for my self, I've found that what sometimes appears useful in recent history may be less than useful if applied over several years. The old version of my program that I give away as documentation can be hacked up by anyone comfortable with excel to try their own concepts.

Remember looking at this a couple years back. thought then as i do now that it would work better on a daily basis using a standard period RSI with 20 as a buy signal and a price pattern / BO as a trigger.. also exiting on an RSI level i think is a mistake, running stops behind daily swing lows is likley to be a better option.

Cant remember the last time i even thought about an 'indicator' 🙂

 

[mr_cassandra]

Forgot one other idea

I think it would also be worthwhile to build in a stop loss rule, because low rsi doesn't guarantee no further prolonged selloff. Probably need to set an x% decline means bail out number. My best luck doing this type of work has been to have enough data in a spreadsheet to try an idea across several years. Many times what looks good now,may work poorly other years.

Hi Mr Cassandra,

I must say I am impressed by the 5-day RSI !!
I have just done my own backtest on the Dow, and it does seem to work.

Worth further analysis I think.

 

[Dave1971]

Hi Mr Cassandra,

I must say I am impressed by the 5-day RSI !!
I have just done my own backtest on the Dow, and it does seem to work.

Worth further analysis I think.

Trendie

Did you use the same RSI levels as entry & exit on your dow test :?:

thanks

Dave1971

 

[mr_cassandra]

Since you looked at it 2 years ago

How would you compare its performnace in real time since then with your own experience?

Remember looking at this a couple years back. thought then as i do now that it would work better on a daily basis using a standard period RSI with 20 as a buy signal and a price pattern / BO as a trigger.. also exiting on an RSI level i think is a mistake, running stops behind daily swing lows is likley to be a better option.

Cant remember the last time i even thought about an 'indicator' 🙂

 

[mr_cassandra]

otc at clearstation re RSI levels

I put a link to a very constructive suggestion in a prior post on this thread. re rsi levels. In the same post I put a link to a study by fundtimer wherein he documented that if you also short, it does even better.

As with all ideas and posts on this board, its crucial to check for yourself. If you are handy with excel, I can help.

[

QUOTE=Dave1971]Trendie

Did you use the same RSI levels as entry & exit on your dow test :?:

thanks

Dave1971[/QUOTE]

 

[trendie]

Dave1971,

I only used 5-day RSI as a basis !!

I used 5-day RSI AND a 5-day SMA to smooth out the triggers.

I ALSO used ADX as a back-up.

Overall, there is, in my opinion, a positive expectancy.
This means you are likely to make rather than lose money.

I would use this as a basis for fine-tuning.

I also tend to get confirmations using candlesticks !!

I wouldnt follow blindly ANYBODYs ideas.
My approach is to take an idea, and personalise it, so it feels that it belongs to me.

 

[trendie]

Dave1971,

Just to be comprehensive, my main strategy is price-action.

I am always curious about other ideas !!